| With the sharp rise of local government debts,the related local debt risk has received more and more attention.In particular,Central Economic Work Conference in 2018 and 2020 focused on the mitigation of local government debt risk,releasing a strong signal to prevent risk.There are many literatures on the risk of local government debts,but few of them use risk measure to quantitatively analyze the systemic risk of local government debts,and no scholars have been found to discuss the tail risk spillover effects of the two by selecting the dual risk indexes of provincial urban construction investment bonds and local government bonds.Based on this,this paper uses the conditional quantile to represent the tail risk of local debt,and selects the risk spread of provincial urban construction investment bonds and the risk spread of local government bonds from 2015 to 2019 as the research objects,and then constructs bivariate MVMQ-CAViaR model to analyze the different tail risk spillovers between the two markets.Through empirical analysis,the results show that MVMQ-CAViaR model can better reflect the tail risk exposure of provincial urban construction investment bond market and local government bond market.Research found that the tail risk spillover effects between urban construction investment bonds and local government bonds present regional differences.The risk spillovers between urban construction investment bonds and local government bonds in Beijing,Hebei,Shanghai,Fujian,Shandong,Guangdong,Jiangxi,Henan,Neimenggu,Yunnan,and Qinghai block each other,reflecting the "firewall effect".From the risk spillovers of local government bonds to urban construction investment bonds,Jiangsu reflects the "asset substitution effect",while Tianjin,Shanxi,Shaanxi,and Chongqing reflect the "panic effect".From the risk transmission of urban construction investment bonds to local government bonds,Jiangsu,Liaoning,Gansu,and Xinjiang exhibit a "panic effect".In summary,this paper can provide a new research perspective for analyzing the risk spillovers of local government debts,and provide some empirical evidence for the analysis of the differences in tail risk spillover effects in different provinces. |
